Earnings expectations, investor trade size, and anomalous returns around earnings announcements

By Robert Battalio, Richard R. Mendenhall. 2005

258 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a2d88a5ab385f7bb2ee0a78fa04b2057c762bc13

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Citations in the corpus

The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research (2008, unknown): “Battalio and Mendenhall (2005) Archival, I/B/E/S, 1993-1996.”
Speculative Retail Trading and Asset Prices (2013, unknown): “, Lee and Radhakrishna (2000), Battalio and Mendenhall (2005), Malmendier and Shanthikumar (2007), Barber, Odean, and Zhu (2009), Hvidkjaer (2008)).”
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, background): “Bartov, Radhakrishnan, and Krinsky (2000) and Battalio and Mendenhall (2005) attribute this behavior to small investors.”
On the Information Role of Stock Recommendation Revisions (2009, background): “…1978; Foster et al., 1984; Rendelman et al., 1987; Bernard and Thomas, 1989), the proportions of small and large trades (Bernard and Thomas, 1990; Battalio and Mendenhall, 2005), the proportion of informed trades (Easley et al., 2002; Sadka, 2006), and macroeconomic effects (Chordia and…”
Political contributions and analyst behavior (2015, unknown): “Our choice of trade size to identify retail trades is based on several previous studies that have used the TAQ data and the $5,000 trade-size cutoff to identify retail trades (e.g., Battalio and Mendenhall 2005; Malmendier and Shanthikumar 2007; Hvidkjaer 2008; Barber et al. 2009).”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “Battalio and Mendenhall (2005) Around earnings announcement dates, small traders trade in the direction of seasonal random-walk forecast errors, whereas large traders trade in the direction of analyst forecast errors.”
Investor Trading and the Post Earnings Announcement Drift (2011, unknown): “Battalio and Mendenhall (2005) employ order imbalance measures and find that around earnings announcements, small traders respond to RW earnings surprises while large traders respond to AF earnings surprises. Mikhail et al. (2007) find that, while large traders trade in the direction of analyst stoc”
Do Security Analysts Speak in Two Tongues (2009, unknown): “Battalio and Mendenhall (2005) find that small traders respond more to SRW surprises while large traders respond to the more sophisticated analyst-based surprise, and Hirshleifer et al. (2008) find that individuals buy for both negative and positive extreme earnings surprises.”
Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades (2008, unknown): “Results in Bhattacharya (2001) and in Battalio and Mendenhall (2005) are consistent with individuals causing PEAD 3 but those in Shanthikumar (2004) are not.”
Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2018, unknown): “This assumption and research design have extensive precedent (e.g., Woodruff and Senchack 1988; Bhattacharya 2001; Battalio & Mendenhall 2005; Cready & Hurtt 2002; Bhattacharya et al. 2007; Hirshleifer et al. 2008), but we acknowledge that they are imperfect.”
Do Portfolio Distortions Reflect Superior Information or Psychological Biases? (2013, unknown): “In untabulated results, consistent with this conjecture, we find that smart investors are less likely to use the inferior seasonal random walk model of earnings to interpret earnings news (Battalio and Mendenhall (2005)).”